Trend Estimation of Univariate and Bivariate Time Series with Controlled Smoothness
Correlation from a 2d covariance matrix.
Plot of original and smoothed time series.
Calculation of the lambda value.
Plot fo the time series and its smoothed version in ggplo
Checks if a squared matrix is positive definite and turn it to positiv...
Preliminar smoothing
Preliminar estimates
Empirical cross-covarinace.
Smoothing value
Trend estimation with controlled smoothing.
It performs the smoothing approach provided by penalized least squares for univariate and bivariate time series, as proposed by Guerrero (2007) and Gerrero et al. (2017). This allows to estimate the time series trend by controlling the amount of resulting (joint) smoothness. --- Guerrero, V.M (2007) <DOI:10.1016/j.spl.2007.03.006>. Guerrero, V.M; Islas-Camargo, A. and Ramirez-Ramirez, L.L. (2017) <DOI:10.1080/03610926.2015.1133826>.